Strategy
Data as of Monday, Feb 16, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +90.59% | Net profit | $905,860 | Gross profit | $785,192 | Gross loss | $564,811 | CAGR | +4.05% | Annualized return | +4.05% | Monthly average return | +0.30% | Median monthly return | -0.14% |
| Best month return | +5.35% | Worst month return | -4.35% | Rolling 1-month return | +11.26% | Log return CAGR | +12.34% | Compounded vs simple return difference | -87.92% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.34% | Average drawdown | +13.31% | Median drawdown | -5.44% | Drawdown duration (max) | 1103.9 days | Average drawdown duration | 30.7 days | Ulcer index | 14.32 | Pain index | 5.64 | Pain ratio | 27.50 |
| Drawdown volatility | 2.67 | Worst peak-to-trough loss | +24.34% | % time in drawdown | +82.71% | Drawdown area | 513.17 | Downside deviation | +13.40% | Semi-variance | 1.64 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.28 | Rolling 1-month Sharpe | 1.63 | Sortino ratio | 0.57 | Calmar ratio | 0.29 | Sterling ratio | 0.29 | Burke ratio | 2.53 | Return / volatility | 4.04 | Return / downside risk | 4.86 |
| Return / max drawdown | 3.58 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 23 | Win rate | +43.98% | Loss rate | +56.02% | Average win | +8.53% | Average loss | -4.09% | Win/Loss ratio | 2.19 | Expectancy | +1.01% | Profit factor | 1.85 |
| Payoff ratio | 2.19 | Best trade | +24.74% | Worst trade | -8.44% | Trade return standard deviation | +4.29% | Consecutive wins (max) | 3 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.33% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +0.47% | Information ratio | -0.53 | Treynor ratio | 0.01 | ||||||||
Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.
| Metric | Value |
|---|---|
| Total return | +31.96% |
| Net profit | $319,597 |
| Gross profit | $600,020 |
| Gross loss | $286,765 |
| CAGR | +5.72% |
| Annualized return | +5.72% |
| Monthly average return | +0.50% |
| Median monthly return | +1.32% |
| Best month return | +5.12% |
| Worst month return | -3.52% |
| Rolling 1-month return | +8.19% |
| Log return CAGR | +15.32% |
| Compounded vs simple return difference | -26.20% |
Performance metrics for each index symbol tested with this strategy.
| Index | Country | Return % | Sharpe | Sortino | Max DD % | Win Rate % | Trades | Profit Factor | Volatility % |
|---|---|---|---|---|---|---|---|---|---|
| Merval | Argentina | +1642.39% | 1.36 | 4.03 | +31.01% | +47.62% | 21 | 6.66 | +32.08% |
| S&P/ASX 200 | Australia | -3.97% | -0.10 | -0.13 | +16.69% | +37.50% | 24 | 0.92 | +8.07% |
| Bovespa | Brazil | +43.89% | 0.66 | 1.04 | +15.38% | +63.16% | 19 | 2.85 | +10.72% |
| TSX Composite | Canada | +20.34% | 0.44 | 0.64 | +19.18% | +48.00% | 25 | 1.81 | +8.22% |
| Euro Stoxx 50 | Europe | +4.54% | 0.09 | 0.13 | +19.44% | +40.00% | 25 | 1.17 | +9.42% |
| Euronext 100 | Europe | -3.08% | -0.07 | -0.10 | +19.01% | +39.29% | 28 | 0.96 | +8.51% |
| CAC 40 | France | -0.53% | -0.01 | -0.02 | +16.52% | +44.00% | 25 | 1.03 | +8.86% |
| DAX | Germany | +6.25% | 0.12 | 0.16 | +26.60% | +48.00% | 25 | 1.21 | +10.10% |
| Hang Seng | Hong Kong | -10.76% | -0.14 | -0.21 | +36.73% | +26.09% | 23 | 0.95 | +16.28% |
| BSE Sensex | India | +14.16% | 0.32 | 0.47 | +18.03% | +33.33% | 24 | 1.46 | +8.25% |
| Nifty 50 | India | +23.29% | 0.50 | 0.73 | +17.87% | +39.13% | 23 | 1.77 | +8.40% |
| Nikkei 225 | Japan | +23.81% | 0.33 | 0.51 | +25.92% | +40.74% | 27 | 1.58 | +13.00% |
| KOSPI | South Korea | +48.98% | 0.61 | 0.98 | +28.32% | +45.45% | 22 | 2.32 | +12.83% |
| Swiss Market | Switzerland | +20.10% | 0.46 | 0.67 | +9.23% | +50.00% | 22 | 2.34 | +7.92% |
| Taiwan Weighted | Taiwan | +85.68% | 1.08 | 1.91 | +13.87% | +63.64% | 22 | 3.68 | +11.07% |
| FTSE 100 | UK | -1.05% | -0.03 | -0.04 | +22.80% | +39.13% | 23 | 1.01 | +7.40% |
| CBOE Volatility Index | US | -98.59% | -1.10 | -0.95 | +99.01% | +19.05% | 21 | 0.24 | +95.83% |
| Dow Jones Industrial Average | US | +19.02% | 0.41 | 0.62 | +17.30% | +45.45% | 22 | 1.83 | +8.36% |
| NASDAQ Composite | US | +47.66% | 0.58 | 0.91 | +15.25% | +65.00% | 20 | 2.23 | +13.00% |
| Russell 2000 | US | -11.80% | -0.18 | -0.25 | +31.09% | +45.45% | 22 | 0.80 | +14.01% |
| S&P 500 | US | +31.96% | 0.56 | 0.87 | +11.94% | +43.48% | 23 | 2.09 | +9.69% |